Nyheter
Anatomy of the raising LIBOR
Anatomy of the raising LIBOR. When US interbank lending rates spiked higher without a corresponding official rate rise, investors appeared primarily concerned about liquidity risk in the banking system. However, we believe the rise of the 3-month interbank rates (LIBOR) reflects higher counterparty risks – rising bank stress – rather than a rise of liquidity premiums.
(Click to enlarge)
Reforms of the Money Market Funds (MMFs), announced by the SEC in July 2014, raised concerns about the liquidity as MMFs are major players in the US money market. New regulation intended to mitigate outflows from MMFs during any future period of market turmoil. The liquidity premium – the difference between the rate on 6-month certificates of deposit (CD) and the equivalent term LIBOR rate – increased along with the uncertainty of the impact of the reforms. However, ahead of the October 2016 implementation, liquidity premiums reverted to prior levels as liquidity moved out of Prime MMFs (US$236.8bn outflows) – funds invested in short-term securities – and into Government MMFs (US$259.6bn inflows) – funds invested in Treasuries, US Agencies and cash – which are exempted from the new rule.
(Click to enlarge)
Although liquidity premiums remain depressed, several measures highlight rising credit risk in the banking sector. The recent increase of the LIBOR-OIS spread – gauging the health of the banking system – reflects changes in risk premiums rather than in liquidity premiums. Accordingly, when LIBOR diverges from the OIS rate (the rate that banks borrow money from the central bank) it shows that banks are paying a greater risk premium on loans from other banks than they are from the Fed.
Another indicator of rising banking sector stress is the TED spread. The widening of the TED spreads – the difference between LIBOR and US T-bills – indicates that risk premium of the banking sector is rising relative to that of the US government. While the current level of the TED spread of 78bps (from 25bps in mid-2015) suggests banks are facing increasing pressures, the situation is still far from the intense market stress on September 2008 where TED spreads exceeded 250bps.
(Click to enlarge)
Lastly, investors’ perception of increased credit risk seems limited to the banking sector as the spread between the 6-month corporate bond yield and 6-month T-bill has been fairly stable since 2012.
Morgane Delledonne, Fixed Income Strategist at ETF Securities
Morgane Delledonne joined ETF Securities as Fixed Income Strategist in 2016. Morgane has an extensive experience in Monetary policy, Fixed Income Markets and Macroeconomics gained at the French Treasury’s Office in Washington DC and most recently in her role as Macroeconomist and Strategist at Pictet&Cie in Geneva. Morgane holds a Bachelor of Applied Mathematics from the University of Nice Sophia Antipolis (France), a Master of Economics and Finance Engineering and a Master of Economic Diagnosis from the University of Paris Dauphine (France).
The UK is shaking up crypto. This month, the Financial Conduct Authority (FCA) proposed lifting its ban on crypto exchange-traded notes for retail investors, a positive step in a global race to regulate digital assets and provide consumer protection.
Key metrics show Bitcoin’s rally isn’t over
Bitcoin is above $100K, and key indicators suggest a growing momentum and a potential for further upside. The Bitcoin Fear & Greed Index sits at 62, reflecting a sentiment that remains near neutral. This lack of extreme greed suggests that the rally may still have room to run in the near term.
Apple wants to enter Circle’s orbit. Why are stablecoins the tech world’s new darling?
Stablecoin issuer Circle made a blockbuster debut on the New York Stock Exchange earlier this month. Now, tech giants like Apple, Meta, and Google are reportedly exploring stablecoin integrations, marking another major step toward merging digital assets with mainstream technology.
Research Newsletter
Each week the 21Shares Research team will publish our data-driven insights into the crypto asset world through this newsletter. Please direct any comments, questions, and words of feedback to research@21shares.com
Disclaimer
The information provided does not constitute a prospectus or other offering material and does not contain or constitute an offer to sell or a solicitation of any offer to buy securities in any jurisdiction. Some of the information published herein may contain forward-looking statements. Readers are cautioned that any such forward-looking statements are not guarantees of future performance and involve risks and uncertainties and that actual results may differ materially from those in the forward-looking statements as a result of various factors. The information contained herein may not be considered as economic, legal, tax or other advice and users are cautioned to base investment decisions or other decisions solely on the content hereof.
UK looking to lift the retail ban on crypto ETPs
AMEM ETF, de ledande aktierna från tillväxtmarknaderna i en enda transaktion
21Shares noterarar fem nya krypto-ETPer Nasdaq Stockholm
EXSG ETF ger exponering mot europeiska utdelningsaktier
De bästa börshandlade fonderna för ren energi
Montrose befäster sin position som den populäraste ETFen
BNP Paribas Asset Management lanserar Europe Defense ETF
Global X noterar Europafokuserad försvarsfond
Kommer Nordea att lansera nya börshandlade fonder?
Nu introduceras fem nya europeiska börser på Nordnet – courtagefri handel under maj
-
Nyheter2 veckor sedanMontrose befäster sin position som den populäraste ETFen
-
Nyheter3 veckor sedanBNP Paribas Asset Management lanserar Europe Defense ETF
-
Nyheter4 veckor sedanGlobal X noterar Europafokuserad försvarsfond
-
Nyheter3 veckor sedanKommer Nordea att lansera nya börshandlade fonder?
-
Nyheter4 veckor sedanNu introduceras fem nya europeiska börser på Nordnet – courtagefri handel under maj
-
Nyheter3 veckor sedanBlackRock lanserar europeisk försvars-ETF för europeiska investerare
-
Nyheter3 veckor sedanYieldMax™ tillkännager första utdelningen för YYYY
-
Nyheter4 veckor sedanRivstart för Montrose ETF-satsning!
